"Football is an unpredictable game and that's why we love it so much," Wenger told reporters in Moscow on Wednesday, after watching Barcelona crash out of the Champions League from a similar position on Tuesday.

"Now we just need to keep ourselves concentrated and to show our best on the pitch to keep (our lead)."

The Gunners are sixth in the Premier League, a huge 13 points off fourth-placed arch-rivals Tottenham Hotspur.

Only the top four sides in the Premier League qualify for the Champions League. That means Arsenal's only realistic route back into Europe's most prestigious and lucrative tournament is by winning the second-string Europa League.

It is also the only trophy the Gunners can lift this season.

"Europa League is our top priority this season as in the league things aren't going really well," said Wenger, mindful that CSKA cannot be written off just yet.

"CSKA have a very strong midfield. Probably the strongest midfield in the Russian league. (Alan) Dzagoev and (Alexander) Golovin have proved their high level in the match in London.

"We're currently in the last eight and we still need to show our best to advance into the semi-finals."

Wenger has been in charge of Arsenal since 1996 but has yet to win any European trophy with the club, although they were beaten on penalties in the 2000 UEFA Cup final, the forerunner of the Europa League, and lost to Barcelona in the 2006 Champions League final.

- 'Never relax' -

Arsenal centre-back Shkodran Mustafi believes Roma's 3-0 defeat of Barcelona, a result that sent the Italian side through on away goals, should serve as a note of caution for his team-mates.

"I think that the match between Roma and Barcelona should become a really good lesson for us ahead of the match with CSKA," Mustafi said. "You should never relax otherwise you can crash out of the tournament. We shouldn't repeat these mistakes."

CSKA face a monumental task to flip the tie in their favour against a team coach Viktor Gancharenko called one of the favourites for the Europa League title.

"If you play without faith, nothing will happen," Gancharenko said. "We should come onto the pitch (Thursday) with a belief that we can change the situation.

"We also need to make some tactical changes but there's no guarantee that our play will become much better."

Arsenal's Henrikh Mkhitaryan, who hurt his knee in the first leg, is out injured but Gancharenko knows his absence won't lessen the size of the challenge that stands in front of CSKA.

"Arsenal have a big number of players. They can substitute Mkhitaryan with a very skilled player though it's very hard to make a worthy replacement," he said.

"But anyway it will not make our task easier. Arsenal and Atletico (Madrid) are the main Europa League favourites."